Ah! Nope it doesn’t set them up automatically. I suppose it could do. The trouble is, how you configure them depends on what you play and I don’t think there’s a right answer.
I usually use the left/right buttons for L1/L2 R2/R2 which map onto some things like the GBA and SNES controls, and I leave all the analog stuff unconfigured.
I didn’t configure a hotkey button, either, and let it default to Select which, in retrospect, might have been a mistake.
Edit, just reconfigured mine to:
[LT] /--------------------------------\ [RT]
[U] [B] [Y] [RS]
[L][D][R] [A] [X] [LS]
\--------------------------------/
[START] [SELECT]
with LT (Left Trigger) as the hotkey enable since I had trouble with it on SELECT since it kept entering recording mode.
This makes [LT] + [START]
exit, and [LT] + [X]
go into the emulator config menu, which are both super handy.